Section: Dissemination
Promoting Scientific Activities
Scientific Events Organisation
Member of the Organizing Committees
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- Co-organizer of the conference ”Advances in Financial Mathematics”, 10-13 January 2017, https://fin-risks2017.sciencesconf.org/.
- Co-organizer of the working group seminar of MathRisk “Méthodes stochastiques et finance”.
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- Member of the organizing committee of Les journées de Probabilités, 2017, France, Aussois.
- Member of the organizing committee of CEMRACS, 2017, Marseille.
- Member of the organizing committee of Les journées SMAI MODE 2018, Grenoble.
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Co-organizer of the seminar Inria-MathRisk /Université Paris 7 LPMA “Numerical probability and mathematical finance”. https://www.lpma-paris.fr/mathfipronum/gt
Scientific Events Selection
Member of the Conference Program Committees
B. Jourdain: Member of the scientific committee of the congrès SMAI 2017
Reviewer
A. Sulem: Reviewer for Mathematical Reviews
Journal
Member of the Editorial Boards
Reviewer - Reviewing Activities
The members of the team reviewed numerous papers for many journals in probability, finance, stochastic control, applied mathematics, ...
Invited Talks
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- "Maximum Likelihood Estimation for Wishart processes", conference on "Mathematics of Quantitative Finance", Oberwolfach, March 1.
- "Optimal Execution in a Hawkes Price Model and Calibration", Market Microstructure and High Frequency Data June 1-3, The University of Chicago, June 2.
- "Maximum Likelihood Estimation for Wishart processes", Recent Developments in Numerical Methods with Applications in Statistics and Finance Mannheim, Germany, June 9.
- "Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems." New York, conference in honour of Jim Gatheral, NYU, October 15.
- "Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems." GT CMAP-ENSTA-ENSAE, November 27.
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- LMS-EPSRC Durham Symposium 10-20 July. Regularity for the solution of jump equations using an interpolation method.
- Conference of Stochastic Processes and their Applications (SPA2017) 24-28 July. Regularity for the solution of jump equations using an interpolation method.
- Workshop on Piecewise Deterministic Markov Processes, 29.05-2.06 Gaussian noise versus Poisson Point Measures in PDMP's.
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- Workshop Stochastic Sampling and Accelerated Time Dynamics on Multidimensional Surfaces, IPAM, Los Angeles, 16-20 October : Convergence and efficiency of adaptive importance sampling techniques with partial biasing
- Workshop Singular McKean-Vlasov dynamics, Sophia-Antipolis, 14-15 September : Existence to calibrated regime-switching local volatility model
- Summer school CEMRACS, Marseille, 17-21 July : The Metropolis-Hastings algorithm, introduction and optimal scaling of the transient phase
- Workshop Stochastic Computation, FOCM 2017, Barcelona, 10-12 July : Strong convergence properties of the Ninomiya-Victoir scheme and applications to multilevel Monte Carlo methods
- Workshop BSDEs SPDEs, Edinburgh, 3-7 July : Existence to calibrated regime-switching local volatility model
- Conference PDE/Probability Interactions : Kinetic Equations, Large Time and Propagation of Chaos, Marseille, 18-22 April : On a stochastic particle approximation of the Keller-Segel equation
- Conference PDE and probability methods for interaction, Sophia-Antipolis, 30-31 March : Evolution of the Wasserstein distance between the marginals of two Markov processes
- Applied Mathematics seminar of the Collège de France, February 24 : Multitype sticky particles and diagonal hyperbolic systems
- Conference Advances in Financial Mathematics, Paris, 10-13 January : Existence to a calibrated regime-switching local volatility model
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High Performance Computing session during CEMRACS: 4 hours of lectures and 6 hours of hands–on sessions, Marseille.
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- Plenary talk at the Congrès SMAI 2017, 8ème biennale française des Mathématiques Appliquées et Industrielles, Ronce-les-bains, June 20017, http://smai.emath.fr/smai2017/index.php
- "Recent advances in financial mathematics", conference organised by "Financial Risks Chair", Paris, Janvier 2017. https://fin-risks2017.sciencesconf.org/program
- Worshop on Optimal Stopping in Complex environments, Bielefeld University, December 18-20 2017,
https://sites.google.com/view/imwworkshop17/
- Workshop on "Asymptotics of Stochastic Dynamics", University of Swansea, August, 29-21, 2017
- Simulation of Stochastic graphs and applications symposium, International Conference on Monte Carlo techniques, Paris, July 5-8, 2017 https://montecarlo16.sciencesconf.org
Scientific Expertise
B. Jourdain: Member of the Scientific Advisory Board of the Center for interdisciplinary Research in Biology, Collège de France : March 1st and 2nd 2017
Research Administration
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- Deputy director of the CERMICS since April 2017.
- In charge of the Master “Finance and Application” at the Ecole des Ponts.
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Vice-president for research at Université Paris-Est Marne-la-Vallée
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- Member of the Committee for technology development, Inria Paris
- Corresponding member of the comité opérationel d'évaluation des risques légaux et éthniques (COERLE) at Inria Paris research center